Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0109 |
| Annualized Std Dev | 0.1357 |
| Annualized Sharpe (Rf=0%) | 0.0806 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2974.0000 |
| NAs | 1.0000 |
| Minimum | -0.1050 |
| Quartile 1 | -0.0035 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.0597 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0086 |
| Skewness | -1.4927 |
| Kurtosis | 20.2136 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0055 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.3274 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0211 |
| Modified VaR (95%) | -0.0138 |
| Modified ES (95%) | -0.0377 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-11-26 | 2020-03-18 | NA | -0.3274 | 2094 | 1840 | NA |
| 2010-09-07 | 2011-01-14 | 2012-05-21 | -0.2019 | 431 | 92 | 339 |
| 2009-06-22 | 2009-07-08 | 2009-10-06 | -0.1100 | 75 | 12 | 63 |
| 2012-07-27 | 2012-08-13 | 2012-10-01 | -0.0740 | 46 | 12 | 34 |
| 2009-10-09 | 2009-12-30 | 2010-03-08 | -0.0623 | 102 | 57 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | -0.7 | 1.4 | 1.3 | 0.8 | 0.7 | -0.2 | 1.1 | 0.2 | 4.8 |
| 2010 | 0.7 | 0 | 0.7 | -0.1 | 0.1 | 0.7 | 0.3 | 0.3 | 0.3 | -0.5 | -1.7 | 1.4 | 2.2 |
| 2011 | 1.1 | 0.9 | 0.5 | 0.5 | -0.7 | 0.6 | 0.9 | -0.2 | -0.1 | 1.2 | 0.9 | 1.2 | 7 |
| 2012 | 0.4 | 0.4 | 1 | 0.7 | -0.3 | 0.5 | -0.5 | 0.6 | 1.3 | 0.1 | -0.6 | 1 | 4.6 |
| 2013 | -0.2 | -0.1 | -0.4 | 0.5 | -0.8 | 1 | -0.1 | 0 | -0.1 | -1.7 | 0.2 | -0.8 | -2.5 |
| 2014 | 0.4 | -0.1 | -0.1 | 0.7 | -0.1 | -0.1 | 0.6 | 0 | 0.3 | 0.1 | 0 | -0.2 | 1.6 |
| 2015 | 0.5 | 0.2 | 0.3 | -0.8 | 0.9 | 0.5 | 0.7 | 0 | 0.2 | 0 | -0.3 | 0 | 2.3 |
| 2016 | 0.2 | 0.1 | 0.6 | 0.8 | 1.1 | 0.7 | -0.2 | 0 | 0.2 | 0.5 | -0.6 | 0 | 3.4 |
| 2017 | 0.3 | -1.1 | 0 | 0.2 | -0.1 | -0.3 | 0.6 | 0 | -0.7 | 0.5 | 0.1 | -0.2 | -0.6 |
| 2018 | -0.5 | 0.2 | -0.6 | 0 | 0 | 0.5 | 0.9 | 0.7 | 0 | -0.7 | 0.3 | 0.3 | 1.3 |
| 2019 | 1.3 | 0 | 0.2 | 2 | 1.6 | 0.9 | 0.3 | 0.4 | 0.4 | 0.5 | 0 | -0.6 | 7.2 |
| 2020 | -0.4 | -0.8 | -3.2 | 0.1 | 0.9 | -0.2 | 0.2 | 0.4 | 0.4 | 1.9 | -0.1 | 0.2 | -0.6 |
| 2021 | 0.2 | -0.3 | 3.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
